Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3840
Annualized Std Dev 0.7322
Annualized Sharpe (Rf=0%) -0.5244

Row

Daily Return Statistics

Close
Observations 3098.0000
NAs 1.0000
Minimum -0.5683
Quartile 1 -0.0221
Median 0.0008
Arithmetic Mean -0.0008
Geometric Mean -0.0019
Quartile 3 0.0221
Maximum 0.3314
SE Mean 0.0008
LCL Mean (0.95) -0.0024
UCL Mean (0.95) 0.0008
Variance 0.0021
Stdev 0.0461
Skewness -0.9889
Kurtosis 16.1436

Downside Risk

Close
Semi Deviation 0.0341
Gain Deviation 0.0309
Loss Deviation 0.0367
Downside Deviation (MAR=210%) 0.0386
Downside Deviation (Rf=0%) 0.0344
Downside Deviation (0%) 0.0344
Maximum Drawdown 0.9995
Historical VaR (95%) -0.0703
Historical ES (95%) -0.1090
Modified VaR (95%) -0.0737
Modified ES (95%) -0.1713
From Trough To Depth Length To Trough Recovery
2008-11-28 2020-04-28 NA -0.9995 3098 2872 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -10.6 16.7 4.3
2009 0.4 -2 -3.4 7.6 5.7 -2.8 7.2 -4 0.3 -7.1 2.4 0.4 3.6
2010 5.7 -2.3 4.5 2.1 -5.1 -6.6 1.4 5.2 4.7 3.4 6.2 4.3 24.9
2011 -2.7 6.8 2.7 1.6 -4.8 -0.4 -1.3 -0.3 -8.9 -3 -0.6 -1.6 -12.6
2012 -2.2 3.9 -0.3 2.1 -7.2 15.2 2.7 3.3 0.7 1.7 2.5 1.9 25.7
2013 0.2 -2 -0.4 -4.5 -3.7 2.8 4.9 -0.3 -1.1 -3.2 1.8 -1.3 -6.9
2014 -1 0.5 -4.1 -1 -1.3 0.1 -0.8 2.2 -1.5 -0.5 5.1 0.9 -1.6
2015 13.9 1.6 8.7 -0.5 0.5 -7.4 -6.5 -13.6 -1.5 2.9 0.2 1.9 -2.7
2016 -13.2 2.5 -7.6 1.2 1 3 -6.9 -5.8 1.3 0.8 7.1 -0.1 -17.1
2017 2.8 -0.8 1.4 -1.4 -0.8 5.8 -4 0.7 -0.1 -0.4 3.5 0.6 7.1
2018 3.8 -0.3 0.9 -2.9 -4.5 2.4 -2.8 -0.5 5.6 -4.9 -2.6 3.2 -3.1
2019 4.9 -4.8 5 -1 -11.3 3.8 -12.3 -5.3 -2.6 7.1 -8.6 -1.4 -25.4
2020 -4.3 -7.1 6.3 -4.9 2.8 2.1 1.1 0.8 -5.1 -1.8 -2.2 0.6 -11.8
2021 5.1 -3.5 5.7 NA NA NA NA NA NA NA NA NA 7.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-25 21731 SPY    85.7  0.0074  -0.0163   0.0204   -0.334   -0.399   -0.326   -0.189 GLD    80.9 -0.0005   0.115 
2 2008-11-26 24900 SPY    89.0  0.0386   0.0917  -0.0511   -0.317   -0.395   -0.300   -0.161 GLD    80.4 -0.0061   0.112 
3 2008-11-28 22400 SPY    90.1  0.0126   0.194   -0.0321   -0.300   -0.388   -0.286   -0.153 GLD    80.3 -0.0009   0.0934
4 2008-12-01 20020 SPY    82.1 -0.0886   0.0326  -0.147    -0.358   -0.448   -0.349   -0.229 GLD    75.6 -0.058   -0.0406
5 2008-12-02 18500 SPY    85.3  0.0385   0.0028  -0.119    -0.333   -0.423   -0.320   -0.208 GLD    77.0  0.0172  -0.0489
6 2008-12-03 18120 SPY    87.3  0.024    0.0194  -0.101    -0.296   -0.403   -0.311   -0.186 GLD    76.2 -0.01    -0.058 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart